One way to remove to rotor after you remove the wheel and the set screw(using a 5mm hex) is to spray WD 40 or any other such solution between the disk and the hub. You do this by spraying into the bolt holes. Then let it soak anywhere from 30 min to an hour. Some people let it soak overnight.
Then using a hammer, hit all around the central flat part of the disk (where the lug nut holes are located) in rapid succession and the disk will break loose.
As mentioned by Larry, clean the mating surfaces of the disk and hub with a rotary wire brush and then apply a thin film of antisieze before reassembling.
I used the above technique on my '86 300E and the rotors came off in no time. Credit for the above technique goes to Hassman.
Good luck and keep us posted.
1986 300E (3/2002) Rear ended and totaled (10/2009)
2000 Xterra (5/2000)
1992 400E (11/2009) -Sold
1986 300E (12/2009)
2004 E500 Wagon (6/2013)